Enterprise Risk Management Slides

Credit Risk [10]

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Bullet points include: Simulate ratings, Value at horizon conditional on rating, Sum exposures to get portfolio value, Repeat many times (Monte Carlo simulation) to estimate distribution. N.B. Currently well-rated names typically deteriorate in credit quality through time, Opposite true for currently poorly rated names, if they survive

Bullet points include: Simulate ratings, Value at horizon conditional on rating, Sum exposures to get portfolio value, Repeat many times (Monte Carlo simulation) to estimate distribution. N.B. Currently well-rated names typically deteriorate in credit quality through time, Opposite true for currently poorly rated names, if they survive

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